Use the derivagem software to value a 5 year collar

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Reference no: EM131241085

Use the DerivaGem software to value a 5-year collar that guarantees that the maximum and minimum interest rates on a LIBOR-based loan (with quarterly resets) are 7% and 5%, respectively.

The LIBOR zero curve (continuously compounded) is currently flat at 6%. Use a flat volatility of 20%. Assume that the principal is $100.

Reference no: EM131241085

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